Concept

Grille des notations financières

Publications associées (34)

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On Bounding Credit-Event Risk Premia

Pierre Collin Dufresne

Reduced-form models of default that attribute a large fraction of credit spreads to compensation for credit-event risk typically preclude the most plausible economic justification for such risk to be priced, namely, a contemporaneous drop in the market por ...

2015

Modeling Credit Contagion via the Updating of Fragile Beliefs

Pierre Collin Dufresne

We propose an equilibrium model for defaultable bonds that are subject to contagion risk. Contagion arises because agents with "fragile beliefs" are uncertain about the underlying economic state and its probability. Estimation on sovereign European credit ...

Oxford Univ Press Inc2015

Default And Systemic Risk In Equilibrium

Martin Larsson

We develop a finite horizon continuous time market model, where risk-averse investors maximize utility from terminal wealth by dynamically investing in a risk-free money market account, a stock, and a defaultable bond, whose prices are determined via equil ...

Wiley-Blackwell2015

Investment timing, debt structure, and financing constraints

Michi Nishihara

We introduce debt issuance limit constraints along with market debt and bank debt to consider how financial frictions affect investment, financing, and debt structure strategies. Our model provides four important results. First, a firm is more likely to is ...

Elsevier Science Bv2015

Distributed user profiling via spectral methods

Dan-Cristian Tomozei

User profiling is a useful primitive for constructing personalised services, such as content recommendation. In the present paper we investigate the feasibility of user profiling in a distributed setting, with no central authority and only local informatio ...

2014

Single product, finite horizon, periodic review inventory model with working capital requirements and short-term debt

Ralf Seifert, Margarita Protopappa, Cristopher Ariel Zeballos Avila

In this paper, we build on a single product, finite horizon, periodic review inventory management setting and include key financial aspects such as working capital constraints, payment delays and multiple sources of financing. We numerically solve for the ...

Elsevier2013

Financial Supply Chain Management: Working Capital Requirements with Short-term Debt

Ralf Seifert, Margarita Protopappa, Cristopher Ariel Zeballos Avila

2013

On Bounding Credit Event Risk Premia

Pierre Collin Dufresne

Reduced-form models of default that attribute a large fraction of credit spreads to compensation for credit event risk typically preclude the most plausible economic justification for such risk to be priced--namely, a “contagious” response of the market po ...

Columbia Business School2012

On the Relative Pricing of Long-Maturity Index Options and Collateralized Debt Obligations

Pierre Collin Dufresne

We investigate a structural model of market and firm-level dynamics in order to jointly price long-dated S&P 500 index options and CDO tranches of corporate debt. We identify market dynamics from index option prices and idiosyncratic dynamics from the term ...

Wiley-Blackwell2012

Corporate governance and capital structure dynamics

Erwan Morellec, Norman Schuerhoff, Boris Nikolov

We develop a dynamic tradeoff model to examine the importance of managershareholder conflicts in capital structure choice. In the model, firms face taxation, refinancing costs, and liquidation costs. Managers own a fraction of the firms equity, capture par ...

2012